Spread Option Model

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 01/19/2001
04:53 PM ---------------------------

Jim Meyn@ENRON
01/19/2001 04:23 PM
To: Vince J Kaminski/HOU/ECT@ECT
cc: Berney C Aucoin/HOU/ECT@ECT
Subject: Spread Option Model

Vince, Berney asked me to send you a copy of our spread option models. The
first is a more detailed spread option model created by Jim Simpson
(currently in the Chicago office), the second is a simplified version of
Simpson's model that I put together for less complicated tolling structures.
Please let me know if you have any questions or would like to discuss.

- Jim